Publication: Calculating ultimate non-ruin probabilities when claim sizes follow a generalized r-convolution distribution function
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1998
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Facultad de Ciencias Económicas y Empresariales. Decanato
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The non-ruin probability, for initial reserves u, in the classical can be calculated using the so-called Bromwich-Mellin inversion formula, an outstanding result from Residues Theory first introduced for these purposes by Seal(1977) for exponential claim size. We will use this technique when claim sizes follow a generalized r-convolution function distribution. Some of the most frequently used heavy-tailed distributions in actuarial science belongs to this family. Thorin(1977) or Berg(1981) proved that Pareto distributions are members of this family; so Thorin(1977) did with Log-normal distributions.
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